Reddit reviews Random Data: Analysis and Measurement Procedures
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Bendat & Piersol's Random Data: Analysis and Measurement Procedures 4th Edition is a great place to start for signal processing and has a chapter on non-stationary analysis. This is the go-to signal processing book for many in the acoustics and structural dynamics communities.
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I've only gotten tangential exposure to wavelet transforms. I'm sorry I can't help with that.